Large Deviations for Statistics of Jacobi Process

Nizar Demni (1) , Marguerite Zani (2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

In this paper, we derive a handable expression for the Jacobi process semi group which is given by a bilinear series involving Jacobi polynomials. Our attempt uses a subordination of the considered process by means of a suitable random change. Once we did, we will be able, in the ultraspheric case, to derive a LDP for a family of estimators based on a single trajectory of the process.

Mots clés: Jacobi process; subordinated Jacobi process; Jacobi polynomials; large deviations.

Mots clés: large deviations

Domaines: Probabilités [math.PR]

Nizar Demni, Marguerite Zani. Large Deviations for Statistics of Jacobi Process. 2006. ⟨hal-00116934⟩